Director, Group Market Risk Management

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Director, Group Market Risk Management

Apply locations Menara Affin, TRX time type Full time posted on Posted 2 Days Ago job requisition id JR100069

Create your future with Affin! You too can make a difference.

Join us at AFFIN, where the open minds meet and be inspired by a shared commitment to great work. Here, you don’t just stay at the forefront of the industry – you can make a difference too. Position Objective

• Ensure that there is an effective and efficient management of the bank’s market risk across the Group.
• Support the Head of Group Market Risk in overseeing and managing department’s treasury risk control and market risk functions.
• Provide a comprehensive market risk analysis and assessment that can assist in decision making and controls setup.

Key Responsibilities

• To generate trading and investment risk reports timely and accurately.
• To perform daily analysis of market risk exposures and sensitivities, as well as limit monitoring for all treasury products (i.e., fixed income securities, FX, interest rate and FX derivatives).
• To generate VaR, stress testing and backtesting reports, including ICAAP and regulatory stress test.
• To prepare monthly reports, ALCO report, market risk capital charge report and management executive summary for trading and investment book.
• To work with front office traders/dealers, business management support, IT, Group Finance and Back Office on issues related to market risk.
• To develop and enhance market risk monitoring tools and reports.
• To participate in projects, process change, treasury system UAT and new product testing.
• To assist in timely review of market risk limits, policies, guidelines and risk governance process to ensure adherence to market risk framework

Skills/Knowledge

• Degree with major in Risk Management, Financial Engineering, Quantitative Finance/Economics, Actuarial, Statistics, Engineering or related discipline.
• Ideally someone with more than 7 years of experience within market risk or trading risk management.
• Knowledge of treasury product pricing, market risk methodology and trading risk attribution.
• Strong quantitative skills, IT savvy with good technical/ analytic mindset, possession of good communication and problem-solving skills.
• A self-starter, ability to work independently and a dynamic team player. Ability to multi-task and work well under pressure with commitment to deliver
• Excellent oral and written communication skills in English with strong presentation skills.

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